Development and Pricing of a New Participating Contract

Carole Bernard, Olivier Le Courtois and François Quittard-Pinon

North American Actuarial Journal, 2006, vol. 10, issue 4, 179-195

Abstract: This article designs and prices a new type of participating life insurance contract. Participating contracts are popular in the United States and European countries. They present many different covenants and depend on national regulations. In the present article we design a new type of participating contract very similar to the one considered in other studies, but with the guaranteed rate matching the return of a government bond. We prove that this new type of contract can be valued in closed form when interest rates are stochastic and when the company can default.

Date: 2006
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Downloads: (external link)
http://hdl.handle.net/10.1080/10920277.2006.10597420 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:uaajxx:v:10:y:2006:i:4:p:179-195

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/uaaj20

DOI: 10.1080/10920277.2006.10597420

Access Statistics for this article

North American Actuarial Journal is currently edited by Kathryn Baker

More articles in North American Actuarial Journal from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().